Well, if you setup the autopilot to a heading, the aircraft will follow it continously, regardless if you created an FSNAV flightplan or not. If you have a FSNAV flightplan but did not activate it by Shift+F9, the aircraft will stay in normal autopilot mode. If you activate FSNAV flightplan by Shift+F9 it will take over ALL autopilot functions and will command the airplane on the given FSNAV route. If you deactivate again FSNAV by Shift+F9, it will give back the command to the normal autopilot and it will simply follow the last given heading.
It works the same way on real aircrafts. If you disable LNAV and VNAV mode, your airplane will follow the last given parameters and will not fallen from the sky, but after activating again LNAV and VNAV, the Flight Management Computer will follow its own program.